The geometry of higher order modern portfolio theory
Fuente:
arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866915637867053056 |
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| author | Horobet, Emil |
| author_facet | Horobet, Emil |
| contents | In this article, we study the generalized modern portfolio theory, with utility functions admitting higher-order cumulants. We establish that under certain genericity conditions, the utility function has a constant number of complex critical points. We study the discriminant locus of complex critical points with multiplicity. Finally, we switch our attention to the generalization of the feasible portfolio set (variety), determine its dimension, and give a formula for its degree. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_20674 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | The geometry of higher order modern portfolio theory Horobet, Emil Portfolio Management 91G10, 14N99 In this article, we study the generalized modern portfolio theory, with utility functions admitting higher-order cumulants. We establish that under certain genericity conditions, the utility function has a constant number of complex critical points. We study the discriminant locus of complex critical points with multiplicity. Finally, we switch our attention to the generalization of the feasible portfolio set (variety), determine its dimension, and give a formula for its degree. |
| title | The geometry of higher order modern portfolio theory |
| topic | Portfolio Management 91G10, 14N99 |
| url | https://arxiv.org/abs/2511.20674 |